Optimal Mean-Reversion Strategy in the Presence of Bid-Ask Spread and Delays in Capital Allocations
Year of publication: |
2017
|
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Authors: | Isaenko, Sergey |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Geld-Brief-Spanne | Bid-ask spread | Portfolio-Management | Portfolio selection |
Extent: | 1 Online-Ressource (31 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2842316 [DOI] |
Classification: | G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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